Heritage Auctions said more than 60,000 tickets to the game at Yankee Stadium were sold but only two are known to have survived.
Of those, only one was signed by Gehrig.
The ticket is scheduled to be auctioned off Aug. 1 in Cleveland.
The owner was not identified.
Gehrig retired after being diagnosed with amyotrophic lateral sclerosis, now known as Lou Gehrig's disease. He famously said, "I consider myself the luckiest man on the face of the Earth" during his farewell speech.
Chris Ivy, Heritage Auction's director of sports memorabilia, said it is "the most significant baseball ticket in the world."